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by dllu
157 days ago
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Yeah, you can generally "whiten" the problem by scaling it in each axis until the variance is the same in each dimension. What you describe is if x and y have a covariance matrix of like [ σ², 0;
0, (nσ)² ]
but whitening also works in general for any arbitrary covariance matrix too.[1] https://en.wikipedia.org/wiki/Whitening_transformation |
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